Phantom distribution functions for some stationary sequences
From MaRDI portal
Publication:897845
DOI10.1007/s10687-015-0228-yzbMath1337.60049arXiv1509.05449OpenAlexW2963818327WikidataQ59403161 ScholiaQ59403161MaRDI QIDQ897845
Gabriel Lang, Adam Jakubowski, Paul Doukhan
Publication date: 8 December 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.05449
extremal indexweak dependenceextremesphantom distribution function\(\alpha\)-mixing sequencesLindley's processrandom walk metropolis algorithmstrictly stationary processes
Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99)
Related Items
Quenched phantom distribution functions for Markov chains, Asymptotics of the order statistics for a process with a regenerative structure, Clusters of extremes: modeling and examples, Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend, On Extremal Index of max-stable stationary processes, Directional phantom distribution functions for stationary random fields, Managing local dependencies in asymptotic theory for maxima of stationary random fields
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An asymptotic independent representation in limit theorems for maxima of nonstationary random sequences
- Extremes and related properties of random sequences and processes
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Extreme values for stationary and Markov sequences
- Relative extremal index of two stationary processes
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Mixing: Properties and examples
- Limit theorems for the maximum term of a stationary process
- Extremal indices, geometric ergodicity of Markov chains and MCMC
- Weak dependence. With examples and applications.
- Non-strong mixing autoregressive processes
- Markov Chains and Stochastic Stability
- Maxima and exceedances of stationary Markov chains
- Applied Probability and Queues
- Extremes and local dependence in stationary sequences
- Products of distribution functions attracted to extreme value laws